统计研究 ›› 2005, Vol. 22 ›› Issue (7): 71-4.
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汤光华; 周伟
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关键词: 交易机制, 收益, 波动
Abstract: Based on the time-adjusted returns, we empirically study the effects of both call action s and continuous action s exchange regulations on the volatility of short-term returns in the Shanghai Stock Exchange. We find that open-open returns exhibit more volatility than close-close returns, and trading period returns are more volatile than non-trading period returns. The previous close price has more relationship to the next open price than the open price to the close price in the same day. The close-close return conforms with partial adjustment hypothesis.
汤光华, 周伟. 交易机制与短期收益的波动 [J]. 统计研究, 2005, 22(7): 71-4.
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https://tjyj.stats.gov.cn/CN/Y2005/V22/I7/71
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